Finance

PEP Move Probability $134.69 +0.68 (+0.5%)

Real historical back-data analysis: evaluates rolling trading-day windows to determine the probability of a stock touching or closing at your target move.

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Optional: Options Contract Breakeven & Edge Analysis — test a specific strike and premium
Touch Probability (First Passage)
2.1%
Stock touched +5.0% ($141.42) at least once during 2 trading days.
Median first touch: Day 2 of 2
Expiration Close Probability
1.3%
Stock closed at or beyond +5.0% at the end of the 2-day window.
The Touch Multiple
1.57x
You are 1.6x more likely to hit your target during the window than holding until expiration.
1σ Expected Move (68.3%)
±1.9%
$132.10 — $137.28

Historical 2-Day Return Distribution

Frequency of rolling 2-day percentage returns over 520 historical windows (2024-09-23 to 2026-10-21). The colored bar indicates the win zone for +5.0%.

-6.3% to -5.3%: 3 occurrences (0.6%) -5.8% -5.3% to -4.4%: 5 occurrences (1.0%) -4.4% to -3.4%: 8 occurrences (1.5%) -3.4% to -2.5%: 23 occurrences (4.4%) -3.0% -2.5% to -1.6%: 58 occurrences (11.2%) -1.6% to -0.6%: 93 occurrences (17.9%) -0.6% to +0.3%: 119 occurrences (22.9%) -0.2% +0.3% to +1.2%: 101 occurrences (19.4%) +1.2% to +2.2%: 60 occurrences (11.5%) +2.2% to +3.1%: 28 occurrences (5.4%) 2.6% +3.1% to +4.0%: 13 occurrences (2.5%) +4.0% to +5.0%: 2 occurrences (0.4%) +5.0% to +5.9%: 2 occurrences (0.4%) 5.5% +5.9% to +6.9%: 2 occurrences (0.4%) +6.9% to +7.8%: 1 occurrences (0.2%) +7.8% to +8.7%: 2 occurrences (0.4%) 8.3%
Historical returns Target move zone (+5.0%+) Target threshold bin

Probability Breakdown: Empirical vs. Theoretical Models

Comparing actual market back-data against Black-Scholes and Fat-Tail adjustments.

Model / Methodology Touch Probability Expiration Close Probability What It Tells You
Empirical Back-Data (Actual History) 2.1% 1.3% Model-free reality across 520 historical 2-day windows.
Fat-Tail Adjusted (Cornish-Fisher) — 6.8% Adjusts normal bell curve for real-world skewness (0.27) and kurtosis (2.31).
Standard Normal (Black-Scholes / GBM) 1.1% 0.6% Classic theoretical log-normal model with constant volatility (often underestimates tail risks).
Regime-Conditioned (Similar Volatility) 2.6% 1.6% Filters for historical windows that started with volatility similar to current 20-day HV (429 matching periods).

Underlying Volatility Profile

Volatility Metrics

  • 1-Year Annualized HV: 21.6%
  • Recent 20-Day HV: 22.7%
  • Parkinson Intraday Volatility: 17.9%
  • Vol Trend: Normal / Consistent

2-Day Return Quantiles

  • Median Return: +0.0%
  • Top 10% Move (90th percentile): +2.1%
  • Bottom 10% Move (10th percentile): -2.3%
  • Max Historical Gain (2d): +8.7%
  • Max Historical Loss (2d): -6.3%